looking for "optimal weighting" algorithm

[Terry Reedy]

"Duncan Smith" <buzzard at urubu.freeserve.co.uk> wrote in message
news:b74ckl$itb$1 at newsg4.svr.pol.co.uk...
> Yes, you do have the link function as well as the linear predictor,
and the
> cut-off would be 0.5 rather than 1.  But in terms of absolute
efficiency
> there is (according to the literature) little to choose between
linear
> discriminant analysis and logistic regression.  Changing the cut-off
would
> be a simple way of attempting to minimise Alex's 'error-cost'.

For at least some types of data distributions, I can believe that.  My
comment about stepwise construction of a feature set versus
over-fitting with everything you can think of applies equally well to
logistic regression.  As far as I know, logistic regression cannot be
used for more than two mutually-exclusive groups.  I don't know
whether Alex might ever need to.

Terry J. Reedy